| 摘要: | 本研究探討財務指標選股之報酬率績效，資料來源為台灣經濟新報資料庫(TEJ)，研究期間為2007年至2013年間，國內上市、上櫃之公司，共計約1400檔股票資料。針對台灣上市（櫃）公司公開財務報表中的財務指標為基礎，以高盈餘低股價概念進行分群，建立簡單易執行的選股策略，選出更具有投資價值的股票並考慮風險忍受度提升投資組合之績效，做為投資大眾選股策略的參考。 本研究的重要發現如下：一、以估計期 252 天形成期10天之潛力股所挑選出來的股票投資報酬率最佳，尤其是排序篩選前30%的股票建立投資組合。二、考慮公司規模大小，利用市值來調整投資權重以達到穩定報酬、降低風險之目的，不管在估計期126天或252天利用市值加權來調整投資權重在報酬率表現上並無明顯效果。三、本研究進行投資組合做複利累積報酬率計算，不管估計期 126天或252天，皆以潛力股效果較佳所呈現出之投資報酬率不僅優於大盤表現，尤其估計期126天複利效應下能使原本投入本金七年累積報酬率得到超越900%以上之異常報酬，累積年報酬率約138%。四、本研究在投資組合之績效上採用sharp指數與大盤比較，不管在估計期126天或252天皆以潛力股的sharp指數最高，優於大盤。五、本研究結果發現以潛力股財務指標選股股票作為選股策略，並以均權進行篩選之投資策略，其報酬率績效表現優於安全股、成長股與整體大盤。
This thesis investigated the rate of return on stock- picking performance of financial indicators, data sources for the Taiwan Economic Journal database(TEJ),the study period was between 2007 to 2013, the domestic market,OTC companies, totaling approximately 1400 files stock information. For Taiwan listed (OTC) financial statements of the Company's public financial indicators,low price with higher earnings clustering concept, easy to build stock-picking strategy execution, choose higher investment value of stocks and consider the risk tolerance of the investment portfolio to enhance the performance, as a strategy for the investor.The major findings of our thesis are as follows:First,within-sample 252 days and out-sample 10 days of potential shares are selected the best investment return rate, especially 30% of pre-sorting screening stocks to build investment portfolios.Second,consider the size of the company, we include market value to adjust the weights in order to achieve a stable investment return and reduce risk.However,no matter the in-sample126 days or 252 days, the investment performance of considering size weight is no apparent effect.Third,in order to caculate the cumulative compounded rate of different groups, whether in-sample 126 days or 252 days, we find the performance of choosing potential stocks group was better than market performance.The cumulative compounded returns of seven years approach over 900% abnormal returns, the annual cumulative return of approximately 138%.Fourth,the sharpe ratio of potential stocks group of our investment performance, regardless of the in-sample126 days or in-sample252 days, is better than market performance. The conclusion of our thesis would strongly suggest potential stocks group as the best stock-picking strategy which the investment protfolios performance is better than safe stocks group and grow stocks group. |
